This paper structured electricity purchasing and sales
return-risk model of REPs based on conditional value at
risk (CVaR) theory. Moreover, this return-risk model took
customer demand elasticity into account. Through the
detailed analysis of REPs electricity purchasing and sales
return-risk, this paper first discussed inner links between
relative return and risk. And then the paper studied how to
choose moderate risk level with different demand
elasticity and risk tolerance ability of REPs. The results
show that the return-risk model is effective to study return
and risk of electricity purchasing and sales. Finally, this
return-risk model can support the optimal electricity
purchasing and sales strategies making of REPs.